Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.1016 |
| Annualized Std Dev | 0.3184 |
| Annualized Sharpe (Rf=0%) | -0.3192 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5468.0000 |
| NAs | 1.0000 |
| Minimum | -0.2310 |
| Quartile 1 | -0.0055 |
| Median | 0.0006 |
| Arithmetic Mean | -0.0002 |
| Geometric Mean | -0.0004 |
| Quartile 3 | 0.0072 |
| Maximum | 0.3491 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0008 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0004 |
| Stdev | 0.0201 |
| Skewness | -0.3497 |
| Kurtosis | 42.7257 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0153 |
| Gain Deviation | 0.0147 |
| Loss Deviation | 0.0195 |
| Downside Deviation (MAR=210%) | 0.0192 |
| Downside Deviation (Rf=0%) | 0.0153 |
| Downside Deviation (0%) | 0.0153 |
| Maximum Drawdown | 0.9624 |
| Historical VaR (95%) | -0.0255 |
| Historical ES (95%) | -0.0527 |
| Modified VaR (95%) | -0.0179 |
| Modified ES (95%) | -0.0179 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-01-10 | 2020-03-18 | NA | -0.9624 | 3574 | 3320 | NA |
| 2005-02-10 | 2005-05-02 | 2006-08-09 | -0.3899 | 377 | 56 | 321 |
| 2001-07-31 | 2003-03-14 | 2003-12-31 | -0.3753 | 581 | 379 | 202 |
| 2004-02-12 | 2004-03-24 | 2005-01-14 | -0.1997 | 234 | 29 | 205 |
| 1999-01-08 | 2000-01-25 | 2001-01-24 | -0.1778 | 436 | 228 | 208 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | -0.7 | -0.4 | -0.8 | 0.8 | -0.8 | 0 | -0.4 | 0.8 | 0 | 2.1 | 0 | 0 | 0.5 |
| 2000 | 0.9 | -0.9 | 1.3 | 0.9 | 0 | -1.2 | 0.8 | 0 | 0 | -1.2 | 0 | 0.4 | 0.9 |
| 2001 | -1.2 | 0.3 | 0.3 | 0 | 0.1 | -0.9 | -0.1 | -0.1 | -0.3 | 0.6 | -0.3 | 0.7 | -0.8 |
| 2002 | -0.1 | -0.6 | 0.6 | -0.1 | -0.1 | -0.6 | 1.7 | 0.8 | -1.7 | 0 | -0.1 | 0.3 | 0.1 |
| 2003 | 1.3 | 0.9 | 2.5 | -0.2 | 3.1 | -0.6 | -3.3 | 0.7 | 0.8 | 0.6 | 0.4 | 1.4 | 7.6 |
| 2004 | -0.5 | 1.4 | 1 | 0.3 | 1.7 | 2.2 | 1.1 | -0.2 | 1.1 | 1.4 | 0.2 | 0.5 | 10.6 |
| 2005 | 0.4 | 2 | 2.2 | -1.7 | 0.6 | 0 | 0.5 | 1 | 1.8 | 1.2 | 0.8 | 2.4 | 11.6 |
| 2006 | 0.1 | -2.3 | -1.1 | 2.2 | 0.6 | 0.3 | 0.6 | -0.1 | 0.7 | 0.5 | 0.7 | -0.4 | 1.8 |
| 2007 | -0.5 | -0.7 | 0.7 | 0.1 | 1.4 | 2.1 | -1.2 | 0 | 3 | -1.7 | 3.4 | -2.4 | 4 |
| 2008 | 2.5 | 0.7 | 3 | 2.4 | 0.2 | 0.7 | 0.3 | 0.2 | 4 | 4.4 | 0.5 | 4.8 | 26.2 |
| 2009 | -0.8 | -1.9 | 1.6 | 2.2 | 3.4 | 2.8 | 2.1 | -2.5 | 1 | -13.2 | 0 | -1.4 | -7.6 |
| 2010 | 1 | 1.1 | 1.2 | 0.3 | 0.3 | 0 | 0.1 | -0.5 | -0.2 | 2.5 | 2.3 | 1.7 | 10.2 |
| 2011 | 0.9 | 0.4 | -0.2 | 0.3 | -0.3 | 1.1 | 1.5 | 1.6 | 1 | 0.5 | -0.3 | 1 | 7.9 |
| 2012 | 0.2 | -0.3 | -0.4 | 0 | -0.7 | 2.1 | 2.7 | 0.8 | 0.3 | 0.3 | -0.5 | 0.9 | 5.4 |
| 2013 | 0.5 | 0.3 | 0.5 | 0.8 | 0.3 | 0.4 | 2.1 | 0.5 | 1.5 | 0.9 | -4 | 1.5 | 5.4 |
| 2014 | -0.3 | 0 | 1 | -0.1 | 0.9 | 1.2 | -0.2 | 0.1 | -1.1 | 2.8 | 0.2 | -1.1 | 3.3 |
| 2015 | -0.7 | 0.7 | 0.2 | 0.3 | 0.1 | -0.2 | -0.5 | -1.5 | 1.2 | 0.8 | 0.2 | 0.5 | 1 |
| 2016 | 1 | 0.4 | 0.1 | 0.2 | 0.6 | 0 | 0.5 | 0.1 | -0.8 | -2.1 | 0 | 0 | -0.2 |
| 2017 | 0.1 | 1.6 | 0.6 | 1.3 | -0.1 | 1.1 | 0.3 | -0.6 | 0.3 | 0.6 | -0.4 | 0.1 | 4.9 |
| 2018 | 0.1 | -1.1 | 0.5 | 0 | 0.6 | -0.1 | 0.4 | -0.1 | 0.3 | 1.8 | 1.6 | 1.6 | 5.8 |
| 2019 | 0.8 | 0.4 | 0.9 | 0.1 | -1 | 1.1 | -0.9 | 0.6 | -0.5 | 0.7 | 0.2 | 0.1 | 2.4 |
| 2020 | -0.9 | -4.7 | -5.8 | -1.6 | 1.8 | 1.1 | -0.1 | 1.5 | 0.5 | -1 | 0.5 | 0.3 | -8.5 |
| 2021 | 1.9 | 1.5 | -0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 1999-01-04 134. SPY 123. NA NA NA NA NA NA NA <NA> NA NA NA
2 1999-01-05 134 SPY 124. 0.0114 NA NA NA NA NA NA <NA> NA NA NA
3 1999-01-06 134 SPY 127. 0.0241 NA NA NA NA NA NA <NA> NA NA NA
4 1999-01-07 135 SPY 127. -0.0049 NA NA NA NA NA NA <NA> NA NA NA
5 1999-01-08 132. SPY 128. 0.0074 NA NA NA NA NA NA <NA> NA NA NA
6 1999-01-11 132 SPY 127. -0.0095 0.0284 NA NA NA NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
